There is indeed a bug there for the "Allow calls on extension functions" option from the transformation scenario dialog that prevents it from being correctly saved.I've logged this problem on our issue tracking tool to be resolved in the next release of Oxygen.

As a workaround you can enable this option globally (by default it is enabled) in:Options > Preferences, XML / XSLT-FO-XQuery / XQuery / Saxon-HE/PE/EE, in the subsection Saxon-PE/EE options. You should then create the transformation scenario again, just to make sure that the global option is correctly picked up.